本文選題：人民幣開放 + 對(duì)外投資企業(yè)��； 參考：《湖南大學(xué)》2015年博士論文

【摘要】：隨著匯率制度改革和開放步伐的不斷推進(jìn),人民幣匯率波動(dòng)逐步加劇,匯率市場(chǎng)化趨勢(shì)日益明顯。與此同時(shí),在全球經(jīng)濟(jì)一體化和中國(guó)市場(chǎng)經(jīng)濟(jì)改革不斷深化的背景下,越來(lái)越多的國(guó)內(nèi)企業(yè)對(duì)外進(jìn)行直接投資。與一般企業(yè)相比,對(duì)外投資企業(yè)在對(duì)外投資過(guò)程中廣泛接觸外幣資金,擁有更多的外幣資產(chǎn)和負(fù)債。因此,對(duì)外投資企業(yè)直接面臨人民幣與外幣兌換所帶來(lái)的匯率風(fēng)險(xiǎn)。在過(guò)去固定匯率制度的環(huán)境中,中國(guó)企業(yè)普遍缺乏風(fēng)險(xiǎn)防范意識(shí),風(fēng)險(xiǎn)度量方法和規(guī)避策略相對(duì)落后,對(duì)外投資企業(yè)的匯率風(fēng)險(xiǎn)管理水平也受到嚴(yán)重制約。在新的形勢(shì)下,匯率風(fēng)險(xiǎn)已經(jīng)成為影響企業(yè)發(fā)展的重要因素之一,對(duì)外投資企業(yè)必須對(duì)此加以重視。在對(duì)外投資企業(yè)匯率風(fēng)險(xiǎn)管理相關(guān)機(jī)理研究中,本文從人民幣匯率波動(dòng)、匯率風(fēng)險(xiǎn)暴露識(shí)別、匯率風(fēng)險(xiǎn)大小、匯率風(fēng)險(xiǎn)規(guī)避方法等幾個(gè)方面出發(fā)進(jìn)行梳理:首先考察對(duì)外投資企業(yè)匯率風(fēng)險(xiǎn)形成的原因,接著探討匯率風(fēng)險(xiǎn)暴露的內(nèi)涵、分類和影響因素,并闡述匯率風(fēng)險(xiǎn)暴露的度量方法,進(jìn)而分析對(duì)外投資企業(yè)匯率風(fēng)險(xiǎn)度量方法,最后比較企業(yè)匯率風(fēng)險(xiǎn)的管理工具。在對(duì)外投資企業(yè)匯率風(fēng)險(xiǎn)管理的實(shí)證研究部分,本文沿著人民幣匯率波動(dòng)、對(duì)外投資企業(yè)匯率風(fēng)險(xiǎn)識(shí)別、度量匯率風(fēng)險(xiǎn)大小以及匯率風(fēng)險(xiǎn)規(guī)避方法這一路徑展開分析。首先,為了更好地刻畫金融時(shí)間序列的特征,利用SV族模型從不同角度刻畫并對(duì)比匯改前后人民幣匯率波動(dòng)的特征,發(fā)現(xiàn)與匯改前相比,人民幣匯率在匯改后表現(xiàn)出更強(qiáng)的波動(dòng)持續(xù)性,且存在一定的杠桿性。然后,基于匯率風(fēng)險(xiǎn)暴露的非對(duì)稱性以及股票收益率和匯率波動(dòng)率的異方差性,構(gòu)建雙變量GJRGARCH模型考察對(duì)外投資企業(yè)的匯率風(fēng)險(xiǎn)暴露,發(fā)現(xiàn)對(duì)外投資企業(yè)的匯率風(fēng)險(xiǎn)暴露存在顯著的不對(duì)稱和滯后性,且在不同匯率條件下匯率風(fēng)險(xiǎn)暴露程度各異。再后,利用VaR-GARCH模型度量匯改前后、金融危機(jī)前后對(duì)外投資企業(yè)的匯率風(fēng)險(xiǎn)。實(shí)證發(fā)現(xiàn),整體而言在匯率改革前后人民幣兌美元的收益率波動(dòng)幅度較其它兩種貨幣要大,而歐元波動(dòng)對(duì)收益率序列所帶來(lái)的影響則更長(zhǎng)。進(jìn)一步地,通過(guò)實(shí)例計(jì)算得出在不同置信區(qū)間上可能遭受的最大損失,用實(shí)際的數(shù)字表明對(duì)外投資企業(yè)的匯率風(fēng)險(xiǎn)。最后,利用外匯期貨合約套期保值技術(shù)探討企業(yè)匯率風(fēng)險(xiǎn)的規(guī)避問(wèn)題。以最小方差為風(fēng)險(xiǎn)度量指標(biāo),從設(shè)定邊際分布模型出發(fā),構(gòu)建機(jī)制轉(zhuǎn)換動(dòng)態(tài)Copula模型。研究發(fā)現(xiàn),匯率現(xiàn)貨與期貨收益率之間的相關(guān)性是動(dòng)態(tài)變化的,Markov狀態(tài)轉(zhuǎn)換動(dòng)態(tài)Copula模型可以為模型的精確性提供保證。同時(shí),根據(jù)邊際分布和狀態(tài)轉(zhuǎn)換動(dòng)態(tài)Gaussian Copula函數(shù)的參數(shù)估計(jì)結(jié)果,計(jì)算出最優(yōu)套期保值比率,對(duì)比分析狀態(tài)轉(zhuǎn)換動(dòng)態(tài)Copula模型與其它套期保值模型的套期保值效果,證實(shí)狀態(tài)轉(zhuǎn)換動(dòng)態(tài)Copula模型的優(yōu)勢(shì),以實(shí)現(xiàn)對(duì)中國(guó)對(duì)外投資企業(yè)匯率風(fēng)險(xiǎn)的有效規(guī)避。在上述理論分析和實(shí)證研究的基礎(chǔ)上,本文圍繞匯率風(fēng)險(xiǎn)管理的金融環(huán)境建設(shè)、對(duì)外投資企業(yè)匯率風(fēng)險(xiǎn)識(shí)別策略、度量手段和規(guī)避策略創(chuàng)新4個(gè)方面提出對(duì)策建議。
[Abstract]:With the continuous progress of the reform and opening up of the exchange rate system, the fluctuation of the RMB exchange rate has gradually intensified and the trend of exchange rate marketization is becoming more and more obvious. At the same time, more and more domestic enterprises have made direct investment in the context of the global economic integration and the deepening of the reform of the Chinese market economy. In the process of foreign investment, enterprises have extensive contact with foreign currency funds and have more foreign currency assets and liabilities. Therefore, foreign investment enterprises face the exchange rate risks of RMB and foreign currency exchange. In the past fixed exchange rate system, Chinese enterprises generally lack the awareness of risk prevention, risk measurement methods and evasion strategies. In the new situation, the exchange rate risk has become one of the important factors affecting the development of the enterprise. The foreign investment enterprises must pay attention to it. In the study of the related mechanism of exchange rate risk management of foreign investment enterprises, this article from the exchange rate fluctuation of RMB exchange rate. Rate risk exposure identification, exchange rate risk size, exchange rate risk avoidance method and other aspects: first examine the reasons for the formation of exchange rate risk of foreign investment enterprises, then discuss the connotation, classification and influencing factors of exchange rate risk exposure, and explain the measurement method of exchange rate risk exposure, and then analyze the exchange rate of foreign investment enterprises. Risk measurement method, and finally compare the management tools of the exchange rate risk of the enterprise. In the empirical part of the exchange rate risk management of foreign investment enterprises, this paper analyzes the path of the RMB exchange rate fluctuation, the recognition of the exchange rate risk of foreign investment enterprises, the measurement of the size of the exchange rate risk and the method of avoiding the exchange rate risk. The characteristics of the financial time series are depicted and the characteristics of the RMB exchange rate fluctuation are depicted and compared from different angles by the SV family model. It is found that the RMB exchange rate has a stronger volatility and a certain leverage after the remittance before the remittance, and then, based on the asymmetry of the exchange rate risk exposure and the stock collection. With the heteroscedasticity of interest rate and exchange rate volatility, a bivariate GJRGARCH model is constructed to examine the exposure of exchange rate risk of foreign investment enterprises. It is found that the exchange rate risk exposure of foreign investment enterprises has significant asymmetry and lag, and the exposure degree of exchange rate risk is different under different exchange rate conditions. Then, the VaR-GARCH model is used to measure the exchange rate before the exchange reform. After the financial crisis, the exchange rate risk of the foreign investment enterprises before and after the financial crisis has been found. In the case of the exchange rate reform, the volatility of the RMB against US dollar is larger than the other two currencies, and the impact of the euro fluctuation on the yield sequence is longer. The maximum loss that can be suffered, the exchange rate risk of the foreign investment enterprise is demonstrated by the actual number. Finally, the hedging technology of the foreign exchange futures contract is used to discuss the avoidance of the exchange rate risk of the enterprise. Based on the minimum variance as the risk measure, the dynamic Copula model is converted from the set of marginal distribution model to the construction mechanism. The correlation between spot and futures returns is dynamic. The dynamic Copula model of Markov state transformation can provide guarantee for the accuracy of the model. At the same time, the optimal hedging ratio is calculated according to the parameter estimation results of the dynamic Gaussian Copula function of the marginal distribution and state conversion, and the dynamic Copula model of the state transformation is compared and analyzed. The hedging effect of model and other hedging model confirms the advantages of state conversion dynamic Copula model to effectively avoid the exchange rate risk of Chinese foreign investment enterprises. Based on the above theoretical analysis and empirical research, this paper focuses on the financial environment construction of exchange rate risk management and the recognition of exchange rate risk of foreign investment enterprises. Strategy, puts forward some countermeasures and suggestions in 4 aspects of measures and strategies to avoid innovation.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.6
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本文編號(hào)：2029532